Tetrachoric Correlation as a Measure of default Correlation
作者： Fatma Noyan , Gülhayat Gölbaşı Şimşek , None
DOI: 10.1016/J.SBSPRO.2012.09.210
关键词: Polychoric correlation 、 Measure (mathematics) 、 Continuous variable 、 Scale (ratio) 、 Econometrics 、 Correlation and dependence 、 Default risk 、 Correlation ratio 、 Statistics 、 Correlation 、 Mathematics
摘要: Abstract Default correlation is a crucial in risk management. The aim of this paper to introduce new method for measuring default correlation. In we recall tetrachoric coefficient which measure association between two continuous variables that have each been measured on dichotomous scale. We presented the applicability as measure.
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